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JPMorgan plans annual income notes due 2016 linked to ETF Efficiente 5
By Toni Weeks
San Diego, June 1 - JPMorgan Chase & Co. plans to price annual income notes contingent on the performance of the JPMorgan ETF Efficiente 5 index due June 30, 2016, according to an FWP filing with the Securities and Exchange Commission.
Interest is payable annually at a rate equal to the index return multiplied by the index factor, subject to a minimum rate of zero to 0.25%. The exact minimum rate will be set at pricing.
The index factor is one divided by the number of interest determination dates that have occurred to date including the current interest determination date. The interest determination dates are June 25, 2013, June 25, 2014, June 25, 2015 and June 27, 2016.
The payout at maturity will be par plus the last coupon payment.
The index tracks the excess return of a portfolio of 12 exchange-traded funds, with dividends reinvested, and the JPMorgan Cash Index USD 3 Month above the return of the cash index less a fee of 0.5% per year that accrues daily.
The 12 ETFs are the SPDR S&P 500 ETF trust, the iShares Russell 2000 index fund, the iShares MSCI EAFE index fund, the iShares Barclays 20+ Year Treasury Bond fund, the iShares iBOXX Investment Grade Corporate Bond fund, the iShares iBOXX High Yield Corporate Bond fund, the iShares MSCI Emerging Markets index fund, the iShares Emerging Markets Bond fund, the iShares Dow Jones Real Estate index fund, the iShares S&P GSCI Commodity-Indexed trust, the SPDR Gold trust and iShares Barclays TIPS Bond.
The notes (Cusip: 48125VB66) are expected to price June 26 and settle June 29.
J.P. Morgan Securities LLC is the agent.
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